Sheik is definitely fun, but she def took a hit from Melee to Brawl in terms of power.
But, she's still able to hold her own. Her weight is HORRID, so it's alot easier to smash her out now so you've got to be more cautious and pay attention to your surroundings. I'm certainly no expert, but from what I've learned and observed so far: Sheik can get alot of chip damage off needles and her standing neutral, and good combo potential from her forward tilts ending in up tilt since it usually ends with aerial potential.
I'm a big Zelda buff, but I have been spending alot of time learning Sheik as well for about a month or so. Make friends with needles--good pressure, good chip damage, and helps to allow some spacing oppertunity against aggressive players on the ground that like to constantly rush in. They usually leave an opening for you to close in for your own offense as well. Her DACUS is something you NEED TO LEARN and practice. It's awesome, but does take some practice and timing to be effective. But, it's quite rewarding (and a nasty punish at higher damage).
Take advantage of her dash grab. Her grab distance increases dramatically. Good pressure option after needles, blocked or not. Just don't get predictable with it--spice it up some with her dashing smash. Should it connect, and the opponent has some damage--always try to follow up with some air game if possible. Her up aerial is usually a safer option. It won't KO at lower levels, but you can follow up for the attempt.
Her air game isn't what it used to be, but I still find her effective at edge guarding. I'm glad she can tether with chain, as it tends to be a bit more reliable than vanish on edge recovery. Vanish is a good option when you're attempting offense on edge guarding, since it can cause damage (more than likely a KO if damage is high enough actually). I've had decent success with it after a regular aerial attack (like her forward aerial) and the opponent is coming in to recover. It helps that she jumps slightly when she does it in the air before the actual vanish.
Overall, she's just fun--and she's a nice contrast to Zelda.
